Authors:

Hong-Joo Kim(Department of Physics and Research Institute for Basic Sciences, Kyung Hee University)

Soon-Hyung Yook(Department of Physics and Research Institute for Basic Sciences, Kyung Hee University)

Yup Kim(Department of Physics and Research Institute for Basic Sciences, Kyung Hee University)

We study an agent based microscopic model for price formation
in financial markets on various topologies motivated by the
dynamics of agents. The model consists of interacting agents
(spins) with localand global couplings. The local interaction
denotes the tendency of agents to make the same decision with
their interacting partners. On the other hand, the global
coupling to the self-generating field represents the process
which maximizes the profit of each agent. In order to
incorporate more realistic situations, we also introduce an
external field which changes in time. This time-varying
external field represents any internal or external interference
in the dynamics of the market. For the proper choice of model
parameters, the competition between the interactions causes an
intermittency dynamics and we find that the distribution of
logarithmic return of price follows a power-law.

To cite this abstract, use the following reference: http://meetings.aps.org/link/BAPS.2008.MAR.C1.276